A Variant of the Conditional Expectation Variance Reduction Technique and Its Application to the Simulation of theGI/G/1 Queues
Management Science · 1989 · Volume 35 · Issue 11
Abstract
In this paper, we introduce the Partial Conditional Expectation (PCE) variance reduction technique, derived by modifying the well-known Conditional Expectation (CE) technique to make it more widely applicable. We apply this PCE technique to obtain a consistent estimator for the expected waiting time in queue in a single-server queueing system. We then derive an improved version of this estimator, taking into consideration further properties of the system. Empirical results show that these two estimators always perform better than the classical estimator. When the traffic intensity is low, the variance reductions obtained by these two estimators become very significant.
Keywords
simulation, variance reduction technique, conditional expectation, partial conditional expectation, GI/G/1 queues, low traffic
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